Then the problem is that your light is not producing shadows for some reason…
If you add a new movable light to the room, for example a point light or spot light, does it also not produce shadows?
Otherwise, maybe it has to do with distance fields, which lack the volume to block light as the other user mentioned.
Go to Show - Visualize - Mesh Distance Fields and check if the objects are represented with an approximate volume. If I’m not mistaken, that is the geometry that casts shadows when you use Lumen and/or Nanite.